The probability of ruin in a process with dependent increments (Q1182770): Difference between revisions
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Latest revision as of 14:31, 15 May 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The probability of ruin in a process with dependent increments |
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The probability of ruin in a process with dependent increments (English)
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28 June 1992
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\textit{H. U. Gerber} [ibid. 1, 177-184 (1982; Zbl 0505.62086)] developed some ruin theory in models where the periodic gains are not independent, but it is assumed that the underlying random variables are bounded. It is the main aim of the present paper to remove this boundedness restriction. This result is applied to the moving average model and to the autoregressive model of order 1 and used to estimate ruin probabilities.
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dependent increments
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estimation of ruin probabilities
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moving average model
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autoregressive model of order 1
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